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The economic sources of China's CSI 300 spot and futures volatilities before and after the 2015 stock market crisis
文献类型:期刊论文
作者:Chen, Qiang[1]  Gong, Yuting[2]  
机构:[1]Shanghai Univ Finance & Econ, Sch Econ, Shanghai, Peoples R China.;
[2]Shanghai Univ, SHU UTS SILC Business Sch, Dept Econ & Finance, Room 511,Wenhui Bldg,20 Chengzhong Rd, Shanghai 201800, Peoples R China.;
通讯作者:Gong, Y (reprint author), Shanghai Univ, SHU UTS SILC Business Sch, Dept Econ & Finance, Room 511,Wenhui Bldg,20 Chengzhong Rd, Shanghai 201800, Peoples R China.
年:2019
期刊名称:INTERNATIONAL REVIEW OF ECONOMICS & FINANCE影响因子和分区
卷:64
页码范围:102-121
增刊:正刊
收录情况:SSCI(WOS:000501613600007)  
所属部门:悉尼工商学院
语言:外文
ISSN:1059-0560
人气指数:11
浏览次数:11
基金:National Natural Science Foundation of ChinaNational Natural Science Foundation of China [71601108]
关键词:CSI 300 index; CSI 300 futures; GARCH; Mixed-data sampling; Stock market crisis
摘要:
The 2015 Chinese stock market crisis has increased focus on the factors that determine the volatility of stock spot and futures markets. In this paper, we investigate the economic sources of CSI 300 spot and futures volatilities before and after the stock market crash based on the generalized autoregressive conditional heteroskedasticity model with the mixed frequency data sampling scheme (GARCH-MIDAS). It shows that the risks of the CSI 300 Index tend to increase with higher inflation, lower ec ...More
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